Critical Ornstein-Uhlenbeck processes

Generalizations of martingales (60G48) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic mechanics (including stochastic electrodynamics) (81P20)

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The Ornstein-Uhlenbeck position process with the invariant measure is shown to satisfy a variational principle quite analogous to Hamilton's least action principle of classical mechanics. To prove this, a stochastic calculus of variations is developed for processes with differentiable sample paths, and which form a diffusion together with their derivative. The key tool in the derivation of stochastic Euler-Lagrange-type equations is a symmetric variant of Nelson's integration by parts formula for semimartingales simultaneously adapted to an increasing and a decreasing family of \(\sigma\)-algebras. An energy conservation theorem is also proved.

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